Título:
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The effects of monetary policy on stock market bubbles: some evidence
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Autor/a:
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Galí, Jordi, 1961-; Gambetti, Luca
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Abstract:
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We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the "conventional" view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endogenous response of the equity premium to the monetary policy shock. (JEL E43, E44, E52, G12, G14) |
Abstract:
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Galí acknowledges the European Research Council for financial support under the European Union’s Seventh Framework Programme (FP7/2007–2013, ERC Grant agreement nº 339656). Gambetti gratefully acknowledges the financial support of the Spanish Ministry of Economy and Competitiveness through grant ECO2012-32392 and the Barcelona GSE Research Network. |
Materia(s):
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-Leaning against the wind policies -Financial stability -Inflation targeting -Asset price booms |
Derechos:
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© American Economic Association. Can be found at http://dx.doi.org/10.1257/mac.20140003 |
Tipo de documento:
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Artículo Artículo - Versión aceptada |
Editor:
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American Economic Association
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